Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0130
Annualized Std Dev 0.2383
Annualized Sharpe (Rf=0%) 0.0545

Row

Daily Return Statistics

Close
Observations 3568.0000
NAs 1.0000
Minimum -0.1082
Quartile 1 -0.0058
Median 0.0007
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0068
Maximum 0.1941
SE Mean 0.0003
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0150
Skewness 0.3328
Kurtosis 18.2173

Downside Risk

Close
Semi Deviation 0.0108
Gain Deviation 0.0111
Loss Deviation 0.0121
Downside Deviation (MAR=210%) 0.0153
Downside Deviation (Rf=0%) 0.0107
Downside Deviation (0%) 0.0107
Maximum Drawdown 0.6239
Historical VaR (95%) -0.0222
Historical ES (95%) -0.0367
Modified VaR (95%) -0.0176
Modified ES (95%) -0.0176
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 NA -0.6239 3369 339 NA
2007-07-16 2007-08-16 2007-10-01 -0.1272 55 24 31
2007-02-27 2007-03-05 2007-04-03 -0.0791 26 5 21
2007-06-05 2007-06-12 2007-06-19 -0.0373 11 6 5
2007-10-15 2007-10-22 2007-10-26 -0.0331 10 6 4

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 0.7 -0.9 -0.2 -0.3 0.8 0.7 -1 2.4 1.5 -2.4 1 -0.8 1.2
2008 1.8 -2.9 2.7 0.9 0.4 -0.7 -1.3 -0.4 -0.4 -0.5 -6.4 1.4 -5.6
2009 -1.1 -1.3 2.9 2 2.7 1.7 0.8 -2.1 -2.8 -3.4 2.8 -0.4 1.5
2010 1.3 1.1 1.8 -1.2 -1.6 0.9 -0.1 3.3 1 0.2 2.7 0.5 10.2
2011 2 -1.2 0.9 0.4 -2.3 1 -0.7 -0.6 -3.1 -3.1 -0.5 0.2 -6.9
2012 1.6 0.9 0.6 0.5 -2.4 3.5 0 0.9 0.7 0.9 0.1 1.2 8.9
2013 0.8 0 -1.2 -0.8 -1.9 0.6 1.2 -0.6 0.6 -0.4 0.3 0.6 -0.8
2014 -1.3 0.3 0.6 0.3 -0.4 0.7 -0.4 0 -1.3 1.4 -0.3 -0.2 -0.7
2015 -1.7 0 0.6 0.7 -0.5 0.4 0.6 -3.3 0.5 -0.3 1.1 -1 -2.8
2016 -0.3 2.7 -0.9 -0.3 -0.1 0.4 -0.5 0.7 0.6 -0.4 -0.4 0.1 1.5
2017 0.3 1.1 -0.2 0.4 0.6 0.1 0.5 0.3 0.7 0.3 -0.4 0.2 3.9
2018 0 -1 1 -0.3 -0.5 0.9 -0.5 -0.4 0.2 1.7 -0.2 0.1 1
2019 -0.1 0.3 1.2 -0.6 -0.6 0.7 -0.7 0.6 -0.7 1 -0.8 0.4 0.5
2020 -1.7 -0.6 -4.2 -2.5 1 0.4 -1.5 0.4 0.6 -0.8 2.3 -0.6 -7
2021 1.7 2 0.2 NA NA NA NA NA NA NA NA NA 3.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-01-17  24.3 SPY    143.  0.0004    0.0138   0.0081   0.0468    0.111    0.260    0.252 GLD    62.6  0.0108   0.0294
2 2007-01-18  24.3 SPY    143. -0.0034    0.0071  -0.0041   0.0417    0.111    0.253    0.238 GLD    62.3 -0.0061   0.0276
3 2007-01-19  24.5 SPY    143.  0.002     0.0046   0.0034   0.047     0.117    0.250    0.266 GLD    63    0.0119   0.0391
4 2007-01-22  24.5 SPY    142. -0.0031   -0.006    0.003    0.0424    0.110    0.247    0.253 GLD    62.7 -0.0044   0.0088
5 2007-01-23  24.7 SPY    143.  0.00290  -0.0011   0.0041   0.0438    0.134    0.241    0.262 GLD    64.2  0.0241   0.0365
6 2007-01-24  24.8 SPY    144.  0.0081    0.0065   0.0127   0.052     0.139    0.254    0.281 GLD    64.3  0.0016   0.027 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart